On the calibration of jump-diffusion models in finance


We apply a splitting strategy to identify simultaneously the local volatility surface and the jump-size distribution of a jump-diffusion driven asset from quoted European call option prices. This is done by means of a... [ view full abstract ]


  1. Vinicius Albani (Federal University of Santa Catarina)
  2. Jorge Zubelli (National Institute of Pure and Applied Mathematics)
  3. Sabrina Mulinacci (University of Bologna)

Topic Areas

Calibration , Computational Finance , Numerical Methods


TH-A-EM » Numerics, PDEs and Option Pricing (11:30 - Thursday, 19th July, Emmet)

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